The expected return of 13.50% lies between corner portfolios 2 and 3 with expected returns of 13.66% and 13.02%. Since both these corner portfolios have no exposure to US bonds, the weight of US bonds in a portfolio which is the weighted average of portfolios 2 and 3 would also be 0%.
Alternatively:
We solve for w in the following equation:
13.50 = w(13.66) + (1-w)(13.02)
w = 0.75
In other words, the efficient portfolio with an expected return of 13.50% has 75% weight of corner portfolio 2 and 25% weight of corner portfolio 3. With respect to the US bonds asset class, the weight is then derived as follows:
Weight of US bonds = (0.75)(0%) + (0.25)(0%) = 0%
